Black-Litterman and Implied Market Returns

The first step in the Black-Litterman method is to find the "implied market returns" (the prior). Usually this is calculated as: $\Pi = \lambda \Sigma w$ , where $\Pi$ is the vector of returns "implied by the market", $w$ is the vector of market weights (each element = security market cap / total market cap), $\Sigma$ is the covariance matrix, $\lambda$ is the market risk aversion (a constant). I would like to use Black-Litterman to optimise a portfolio of individual stocks (something like 20 se